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Happy Trails Are Ahead
You can start this DLC off by marking the “Happy Trails Expedition" quest on your map, and then walking to the north of New Vegas to find the Northern Passage. It's just a cave in the wall. Go into it to find the caravan waiting for their new recruit.
Talk to Jed first, but then talk to Stella for some background and talk to Ricky for a few business opportunities. If you have 45 points in Medicine, you can note that he's addicted to Psycho. You can then sell him some Psycho for 30 a piece, or Fixer for 80 a piece or you can tell him to leave.
You can also question him about his vault suit and pip-boy. He obviously didn't grow up in Vault 22, judging by the lack of spores, so you can call him out on that. If you have 45 in Science or 50 in Speech, you can also point out that his Pip-Boy isn't working. You can then either make him carry some of your gear or make him leave the caravan.
It's basically up to you. Tell Jed that you're ready to go, and he'll pull the weight check. You'll need 50 points in Survival or the Strong Back or Pack Rat perk to convince him that you can carry more than that. These will let you get up to 100 pounds of gear. Drop off whatever you don't need in the crate lying next to him, send any companions back to the Lucky 38 and then tell him when you're ready to go. The only thing I'll note is that you probably don't need to bring brush guns or anti-materiel rifles, because you'll be able to pick a few up at the start and quickly repair them to 100%.
Just bring a good unique weapon or two, along with some ammo. I wouldn't bother bringing a pistol, since the new .45 auto pistol will be fine, and you can buy all the ammo you need for it in Zion. A rifle like 'This Machine" will be good though, or any energy weapons. Just remember to bring lots of ammo for them, since you won't find that many ammo sources in Zion.
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For the time being, just follow Jed until the ambush, and then take cover by a rock. You can't save them, especially since the machine gunner will be invulnerable until Jed dies. Once the caravan is down, pop up and put a few shots into the gunner. Look down the path, or just to the right of the cliff, to spot another two snipers waiting by the bridge. Pick them both off to clear the way.
Loot as much as you want now. There's some decent gear among the caravan guards, and the White Legs are packing some heavy firepower too. Try to get a fully repaired anti-materiel rifle, since you can trade that in a few minutes for 4000 caps worth of goods. When you cross the bridge, you'll come under fire. Just wait for a second. Another tribal will run up and kill the gunner. A lot of people have had this problem. Follows-Chalk can easily be hit by friendly fire if you try to kill the gunner, which will make the entire zone of Zion hostile to you. Just hold your fire and then cross over to meet him and make your new friend.
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The Burned Man
Join up with him and follow the path. Check the tree trunk if you want. Watch the Yao Guai for a moment, and then follow the path up to the right to get a better view of the area. You'll also get to kill a Yao Guai cub and a giant. If you have a decent rifle, they should actually die pretty easily.
If you go out to the cliff, Follows-Chalk will mark the nearby landmarks for you. Once that's done, just go back and follow the road until you get to the Welcome Booth. You'll probably see a few White Legs and geckos, so stay alert and keep your gun out. At the booth, feel free to loot it and then move in to the river. Watch out for bear traps are choke points and keep moving until you find the camp. Go into Angel Cave at the back to meet the Dead Horses.
If you have 7 points in Intelligence you can communicate a little bit better. Regardless, go to the back right to find the table with Joshua Graham. Go ahead and talk to him to get a few quest. We'll need to do a little scavenging in order to help them out.
This will open up three quests. Note that you can also trade with him. Now's a good time to trade in some guns you scavenged for pistols and submachine guns. He's got a lot to offer and you've got a lot to trade.
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All screenshots from Fallout: New Vegas - Honest Hearts DLC